Deloitte Quant Master Classes “A close look at Market Value-at-Risk”

Events

Deloitte Quant Master Classes “A close look at Market Value-at-Risk”

26 September 2019

Deloitte Luxembourg is delighted to announce the Quantitative Master Class on "A close look at Market Value-at-Risk" on Thursday, 26 September 2019 from 8:45 to 17:30.

The purpose of the Value-at-Risk Quantitative Master Class is to provide you with relevant information on the technical aspects of Value-at-Risk and its various applications for investment funds.

The seminar will cover the detailed features of Value-At-Risk. We will review the history of Value-At-Risk, the general theory behind it, and the various techniques to estimate it. We will also explore together some tips and tricks for implementing this measure, as well as concrete examples of implementation.

The Quantitative Master Class is designed to be highly interactive. You will have direct access to Deloitte’s Quantitative team and the small group discussions throughout each session will allow you to share experiences with your peers.

Agenda:

8:45 - 9:00 Welcome Coffee
9:00 - 9:30 Review of participants' objectives
9:30 - 10:45 • History – notions of market risks
• Financial markets’ stylised features
• Theoretical foundations
• VaR definition and limitations
• Use of value-at-risk (market risks, credit risks, portfolio optimization, regulatory disclosure,…)
10:45 - 11:00 Coffee break
11:00 - 12:15 • Dissecting the VaR
• Assessing the risk factors (mapping methodologies)
• Modelling the risk factors (distributions and correlations)
• Parameters estimation: techniques and models (e.g. Garch, EWMA,..)
• Value-at-Risk Methodologies: Historical, Variance-Covariance, semi-parametric, Simulation
• Treatment of derivatives
• Value at risk and copulae
12:15 - 13:15 Networking lunch
13:15 - 15:15 Practical application: Value-at-Risk calculation
15:15 - 15:30 Coffee break
15:30 - 17:30 Practical application: Value-at-Risk backtesting
17:30 - 18:00 Master Class closure (Final Q&A, Evaluation by participants, Closing Remarks)


Attendance to this event is by invitation only
.

The presentation will be held in English.


Deloitte
20 Boulevard de Kockelscheuer
L-1821 Luxembourg

Contacts

Xavier Zaegel, FRM

Xavier Zaegel, FRM

Partner | Capital Markets/Financial Risk Leader

Xavier is a partner within the advisory and consulting department and is the head of the Capital Markets practice in Luxembourg. As a market and credit risk specialist, he has been leading various ass... More

Sylvain Crépin, FRM

Sylvain Crépin, FRM

Partner | Capital Markets/Financial Risk

Sylvain Crepin joined Deloitte Luxembourg in January 2012 and is Partner in the Financial Risk Management department. He is specialised in risk management advisory and solutions for the investment fun... More

Fabian De Keyn, CQF

Fabian De Keyn, CQF

Director | OTC Valuations

Fabian De Keyn is Director within our Capital Markets unit in Luxembourg. He has specialized over the different years in OTC instruments and structured products valuation. Fabian holds a MSc in Civil ... More